I prefer not to check session variable in code instead use FormAuthentication. They have inbuilt functionlity to redirect to given LoginPage specified in web.config.
However if you want to explicitly check the session you can check for NULL value for any of the variable you created in session earlier as Pranay answered.
You can create Login.aspx page and write your message there , when session expires FormAuthentication automatically redirect to loginUrl given in FormAuthentication section
<authentication mode="Forms">
<forms loginUrl="Login.aspx" protection="All" timeout="30">
</forms>
</authentication>
The thing is that you can't give seperate page for Login and SessionExpire , so you have to show/hide some section on Login.aspx to act it both ways.
There is another way to redirect to sessionexpire page after timeout without changing formauthentication->loginurl , see the below link for this : http://www.schnieds.com/2009/07/aspnet-session-expiration-redirect.html